Stochastic linear-quadratic control problem with no-shorting constraints follow jump-diffusion process (Q3145630)
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scientific article; zbMATH DE number 6118065
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| English | Stochastic linear-quadratic control problem with no-shorting constraints follow jump-diffusion process |
scientific article; zbMATH DE number 6118065 |
Statements
21 December 2012
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stochastic LQ contro
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HJB equation
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viscosity solution
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0.847522497177124
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0.8313000202178955
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0.8299196362495422
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0.8168359398841858
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